fun_Shiny_RelROCMom: Relative ROC based Momentum

In 3schwartz/IPAmomentumSmallMidCap:

Description

Returns a plot and statistics for a relative momentum based on ROC ranking This function is customized to work with IPA's Shiny App

Usage

fun_Shiny_RelROCMom(listData, period = c("days", "weeks", "months",
  "quarters", "years"), lookback = c(3, 6, 12), dateStart = NULL,
  dateEnd = NULL, weights = c(1/6, 2/3, 1/6), NumAssets = 8,
  size = NULL, UseTC = TRUE, TCmin = 30, TCrate = 0.001,
  ChoosenAssets = NULL)

Arguments

listData	Data from Yahoo in form OHLCAV. The adjusted prices is used s these must be present
period	Period at which one want to obtain data. Can be "days", "weeks", "months", "quarters" or "years"
lookback	Lookback periods used to rank assets
dateStart	Date at which the strategy shall start. The lookback period is looking before this date so it is the start date of the strategy.
dateEnd	Date at which the strategy shall end
weights	weights when using a weighted momentum. Vector which should have lenth three and sum to one
NumAssets	Number of assets in optimal portfolio
size	Number of asset one buy (or sell) in each transaction. Default is one
UseTC	Logical if one want to use transaction cast
TCmin	Minimum transactionamount
TCrate	Rate in which the transaction cost is calculated. This is only used if it is over the minimal amount
ChoosenAssets	Assets one have choosen in strategy

Value

list

name plotCumReturn	ggplot of cumreturns for different assets
name StatTable	Table of statistics
name rank.first	Table of rank for first lookback period
name rank.second	Table of rank for second lookback period
name rank.third	Table of rank for third lookback period
name rank.ave	Table of rank for average lookback period
name rank.weight.ave	Table of rank for weighted average lookback period

3schwartz/IPAmomentumSmallMidCap documentation built on May 15, 2019, 12:50 p.m.